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arXiv 1207.5136stat.MLcs.LGstat.ME
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基于结构方程模型的时间序列因果推断

Causal Inference on Time Series using Structural Equation Models

Max Planck Institute for Intelligent Systems(马克斯·普朗克智能系统研究所);ETH Zurich(苏黎世联邦理工学院)

Jonas Peters, Dominik Janzing, Bernhard Schölkopf

摘要:

因果推断使用观察来推断数据生成系统的因果结构。我们研究一类函数模型,我们称之为独立噪声时间序列模型(TiMINo)。这些模型需要独立的残差时间序列,而传统的方法,如格兰杰因果关系利用残差的方差。有两个主要贡献:(1)理论:通过限制模型类(例如加性噪声),我们可以提供比现有的更一般的可识别性结果。该结果结合了可以是非线性的并且不需要是忠实的滞后和瞬时效应,以及时间序列之间的非瞬时反馈。(2)实用:如果时间序列之间没有反馈环,我们提出了一种基于时间序列的非线性独立性测试的算法。当数据不充分或数据生成过程不满足模型假设时,该算法仍可能给出部分结果,但大多数情况下避免了错误答案。对(非瞬时)反馈的扩展是可能的,但未讨论。它在人工和真实数据上优于现有方法。代码可以根据要求提供。

英文摘要:

Causal inference uses observations to infer the causal structure of the data generating system. We study a class of functional models that we call Time Series Models with Independent Noise (TiMINo). These models require independent residual time series, whereas traditional methods like Granger causality exploit the variance of residuals. There are two main contributions: (1) Theoretical: By restricting the model class (e.g. to additive noise) we can provide a more general identifiability result than existing ones. This result incorporates lagged and instantaneous effects that can be nonlinear and do not need to be faithful, and non-instantaneous feedbacks between the time series. (2) Practical: If there are no feedback loops between time series, we propose an algorithm based on non-linear independence tests of time series. When the data are causally insufficient, or the data generating process does not satisfy the model assumptions, this algorithm may still give partial results, but mostly avoids incorrect answers. An extension to (non-instantaneous) feedbacks is possible, but not discussed. It outperforms existing methods on artificial and real data. Code can be provided upon request.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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